Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0140 |
| Annualized Std Dev | 0.2147 |
| Annualized Sharpe (Rf=0%) | -0.0650 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4001.0000 |
| NAs | 1.0000 |
| Minimum | -0.1485 |
| Quartile 1 | -0.0050 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0059 |
| Maximum | 0.1359 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0135 |
| Skewness | -0.9487 |
| Kurtosis | 20.2467 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0102 |
| Gain Deviation | 0.0095 |
| Loss Deviation | 0.0120 |
| Downside Deviation (MAR=210%) | 0.0147 |
| Downside Deviation (Rf=0%) | 0.0101 |
| Downside Deviation (0%) | 0.0101 |
| Maximum Drawdown | 0.5593 |
| Historical VaR (95%) | -0.0185 |
| Historical ES (95%) | -0.0340 |
| Modified VaR (95%) | -0.0201 |
| Modified ES (95%) | -0.0340 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-04-04 | 2009-03-09 | NA | -0.5593 | 3516 | 486 | NA |
| 2005-07-29 | 2005-12-21 | 2006-10-13 | -0.1373 | 306 | 102 | 204 |
| 2007-02-16 | 2007-03-05 | 2007-04-03 | -0.0964 | 32 | 11 | 21 |
| 2006-12-15 | 2007-01-23 | 2007-02-14 | -0.0416 | 40 | 24 | 16 |
| 2006-10-24 | 2006-11-28 | 2006-12-05 | -0.0389 | 30 | 25 | 5 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2005 | NA | NA | NA | 0 | 0 | 0.8 | -0.1 | 1 | -0.2 | -0.3 | 1.8 | -0.5 | 2.4 |
| 2006 | -0.2 | 1.1 | 0.9 | 0.7 | 0.5 | 0.5 | -0.7 | -0.1 | 0.9 | -0.3 | -0.4 | -0.1 | 2.9 |
| 2007 | 1 | -0.2 | -0.5 | 0.3 | 0.7 | -0.5 | 0 | 2.7 | 0.9 | -1.4 | 1.2 | -0.7 | 3.6 |
| 2008 | 1.3 | -1.9 | 2.9 | 1.3 | 1.4 | -0.7 | -1.1 | -0.8 | 3.8 | 2.5 | -4.9 | -1.6 | 1.7 |
| 2009 | 0.1 | -0.9 | 0.4 | -0.4 | 0.7 | -0.9 | 1.6 | -2.8 | -2.4 | -2 | 0 | -1.2 | -7.6 |
| 2010 | 1.4 | 0.4 | 1.2 | -0.8 | -0.8 | -1.9 | 0.2 | 2.2 | -0.1 | -0.4 | 0.1 | 0.1 | 1.5 |
| 2011 | 1.3 | -0.9 | 0.5 | 0.8 | -1.2 | 1.1 | 0.5 | -0.5 | -2.8 | -2 | -0.2 | -0.2 | -3.6 |
| 2012 | 0.7 | 1.3 | 1.3 | 0.1 | -1.6 | 1.9 | 0.4 | 0.3 | 0.5 | 1.3 | -0.3 | 1.4 | 7.3 |
| 2013 | 0.2 | 0.5 | -0.4 | -0.5 | -1.8 | 1.4 | 1.1 | 0.1 | 1.2 | -0.2 | 0.8 | -1.3 | 1 |
| 2014 | -0.5 | -0.1 | 0.6 | -0.2 | 0.2 | 0.4 | -0.9 | -0.1 | -1 | 1 | -0.9 | -3.3 | -4.5 |
| 2015 | -1.2 | -0.4 | -0.4 | 0.9 | 0.1 | 0.9 | 0.1 | -2.7 | 0 | -0.4 | 0.6 | -0.6 | -3.3 |
| 2016 | -0.1 | 1.5 | 0.3 | -0.7 | 0.4 | -0.1 | -0.3 | -0.2 | 1.3 | -0.2 | 0.4 | 0.1 | 2.4 |
| 2017 | 0.2 | 0.7 | 0.1 | 0.4 | 0.6 | 0.8 | 0.6 | 0.2 | 0.6 | 0.2 | -0.3 | 0 | 4.1 |
| 2018 | -0.7 | -0.8 | 1.5 | 0.1 | -2 | 1.9 | -0.1 | -0.8 | 0.6 | 1.1 | 1.6 | 2 | 4.4 |
| 2019 | -0.7 | 0.4 | 0 | 0.1 | -1.6 | 0.2 | -0.8 | 0.7 | -0.6 | 0.6 | -0.2 | 0.2 | -1.9 |
| 2020 | -1.2 | -3.2 | -5.1 | -1.8 | 1.2 | 0.4 | -0.3 | 0.6 | 1.3 | -1.5 | 1.2 | 0.3 | -7.9 |
| 2021 | 1.2 | 1.6 | 0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.2 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
